机构地区: 厦门大学管理学院
出 处: 《商业研究》 2014年第5期40-50,共11页
摘 要: 本文根据上市首日表现将IPO新股区分为破发股和非破发股,分别采用不同市场收益率基准,考察了基于事件时间研究法的累计超额收益率(CAR)和买入并持有超额收益率(BHAR),以及基于日历时间研究法的月平均超常收益率(MMAR)和Fama-French三因素模型,并利用多元线性回归模型进行实证检验。研究发现,IPO破发短期会给上市公司的市场表现带来不利影响,但中长期而言,IPO破发股的弱势程度更轻、市场表现更好。 This paper divides IPOs into the ones with IPO overpricing and the ones without IPO overpricing according to the first-day market performance , chooses different market yields as benchmark , and uses event time method to examine their cumulative abnormal return ( CAR) and buy-and-hold abnormal return ( BHAR) , uses calendar time method to examine the monthly average abnormal returns ( MMAR) and Fama-French three-factor model , and then carries out the empirical test with the multiple linear regression model .The findings indicate that in the short term IPO overpricing affects the company′s market performance adversely;however in the medium and long term the companies with IPO over-pricing have better market performance than the companies without IPO overpricing .
领 域: [经济管理]